A level-dependent Lévy process solves the stochastic differential equation $dU(t) = dX(t)-φ(U(t)) dt$, where $X$ is a spectrally negative Lévy process. A special case is a multi-refracted Lévy process with $φ_k(x)=\sum_{j=1}^kδ_j1_{\{x\geq b_j\}}$. A general rate function $φ$ that is non-decreasing and continuously differentiable is also considered. We discuss solutions of the above stochastic differential equation and investigate the so-called scale functions, which are counterparts of the scale functions from the theory of Lévy processes. We show how fluctuation identities for $U$ can be expressed via these scale functions. We demonstrate that the derivatives of the scale functions are solutions of Volterra integral equations.